1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
|
/* { dg-do compile { target { powerpc*-*-* && ilp32 } } } */
/* { dg-skip-if "" { powerpc*-*-aix* } { "*" } { "" } } */
/* { dg-options "-O2 -mpowerpc64" } */
/*
* (below is inlined and simplified from previously included headers)
*/
struct fltcom_st {
short fltbuf[950];
} fltcom_ __attribute__((common)) ;
#define CM_PLIBOR (*(((double *)&fltcom_ + 1)))
#define CM_QMRG (*(((double *)&fltcom_ + 2)))
struct fltcom2_st {
short fltbuf2[56];
} fltcom2_ __attribute__((common)) ;
#define CM_FLPRV ((short *)&fltcom2_ + 17)
#define CM_FLNXT ((short *)&fltcom2_ + 20)
#define CM_FLCPN (*(((double *)&fltcom2_)))
#define CM_FLCNT (*(((short *)&fltcom2_ + 12)))
struct aidatcm_st {
double cm_aid, cm_ext, cm_basis;
short cm_aiday, cm_exday, cm_dperd, cm_aiexf, cm_aidex, cm_aiok,
cm_aigdo, cm_aildo, cm_prev[3], cm_next[3], cm_aid_pad[2];
double cm_rvgfact, cm_ai1st, cm_ai2nd;
int cm_aieurok;
} aidatcm_ __attribute__((common)) ;
#define CM_EXDAY aidatcm_.cm_exday
#define CM_BASIS aidatcm_.cm_basis
#define CM_PREV aidatcm_.cm_prev
struct cshfcm_st {
short bufff[10862];
} cshfcm_ __attribute__((common)) ;
#define CM_FNUM (*(((short *)&cshfcm_ + 9038)))
#define CM_FIFLX ((double *)&cshfcm_ + 1)
#define CM_FEXTX ((double *)&cshfcm_ + 1201)
#define CM_FSHDT ((short *)&cshfcm_ + 7230)
struct calctsdb_st {
short calctsdbbuff[115];
} calctsdb_ __attribute__((common)) ;
#define CM_CTUP_GOOD_TO_GO (*(((short *)&calctsdb_ + 16)))
#define CM_PAYMENT_FREQUENCY (*(((short *)&calctsdb_ + 61)))
#define CM_DISCOUNTING_DAYTYP (*(((short *)&calctsdb_ + 59)))
struct cf600cm_st {
short bufcf[14404];
} cf600cm_ __attribute__((common)) ;
#define CM_FLT_RFIXRATES ((double *)&cf600cm_ + 600)
typedef struct { int id; int type; const char *name; } bregdb_bitinfo_t;
int
bregdb_eval_bbitcxt_bool_rv(const bregdb_bitinfo_t * const bbit,
const int bbit_default,
const void * const bregucxt);
static const bregdb_bitinfo_t bbit_calc_dr_d33 =
{ 160667, 5, "bbit_calc_dr_d33" };
#define bbit_calc_dr_d33__value() \
bregdb_eval_bbitcxt_bool_rv(&bbit_calc_dr_d33, 0, 0)
static const bregdb_bitinfo_t bbit_calc_sx_b24 =
{ 158854, 5, "bbit_calc_sx_b24" };
#define bbit_calc_sx_b24__value() \
bregdb_eval_bbitcxt_bool_rv(&bbit_calc_sx_b24, 0, 0)
static const bregdb_bitinfo_t bbit_calc_dr_d36 =
{ 161244, 5, "bbit_calc_dr_d36" };
#define bbit_calc_dr_d36__value() \
bregdb_eval_bbitcxt_bool_rv(&bbit_calc_dr_d36, 0, 0)
static const bregdb_bitinfo_t bbit_calc_dr_d37 =
{ 161315, 5, "bbit_calc_dr_d37" };
#define bbit_calc_dr_d37__value() \
bregdb_eval_bbitcxt_bool_rv(&bbit_calc_dr_d37, 0, 0)
static const bregdb_bitinfo_t bbit_calc_dr_d47 =
{ 163259, 5, "bbit_calc_dr_d47" };
#define bbit_calc_dr_d47__value() \
bregdb_eval_bbitcxt_bool_rv(&bbit_calc_dr_d47, 0, 0)
static const bregdb_bitinfo_t bbit_calc_dr_d46 =
{ 163239, 5, "bbit_calc_dr_d46" };
#define bbit_calc_dr_d46__value() \
bregdb_eval_bbitcxt_bool_rv(&bbit_calc_dr_d46, 0, 0)
static const bregdb_bitinfo_t bbit_calc_dr_d62 =
{ 166603, 5, "bbit_calc_dr_d62" };
#define bbit_calc_dr_d62__value() \
bregdb_eval_bbitcxt_bool_rv(&bbit_calc_dr_d62, 0, 0)
int dtyp_is_actact_(short *daytyp);
double rnd_trunc_numb(double in, short num_digits, short rnd_or_trunc);
void datetrn_(const short* dt, short* dt2);
short difday_(short* daytyp_in, short* srtdti, short* enddti, short* ercode);
double pow(double x, double y);
/*
* (above is inlined and simplified from previously included headers)
*/
void calc_1566(
short sCalcType,
short sDayType,
short sFreq,
short asSettleDt[3],
short asMtyDt[3],
short asIssueDt[3],
short asFCpnDt[3],
double dCpn,
short *psNoPer,
double *pdExt,
double *pdAI,
double *pdAI2,
double *pdFCpn,
short *psRcode)
{
short ercode = 0;
int isactact;
short days_to_next_cpn = 0;
const short discDaytype = CM_DISCOUNTING_DAYTYP;
if(bbit_calc_sx_b24__value())
isactact = (dtyp_is_actact_(&sDayType) != 0);
else
isactact = (sDayType == 1 || sDayType == 10);
short days_in_current_period = difday_(&sDayType,CM_FLPRV,CM_FLNXT,&ercode);
const short sfreq1 = (CM_CTUP_GOOD_TO_GO == 1 && CM_PAYMENT_FREQUENCY == 1);
for (int j = 0; j < CM_FNUM; j++) {
if(j == 0) {
days_to_next_cpn = difday_(&sDayType,asSettleDt,CM_FLNXT,&ercode);
if(isactact) {
CM_FIFLX[j] = CM_FLCPN / sFreq;
CM_FEXTX[j] = (double)days_to_next_cpn / (double)days_in_current_period;
}
else {
CM_FIFLX[j] = CM_FLCPN * days_in_current_period;
CM_FEXTX[j] = (double)days_to_next_cpn / (double)(1/sfreq1);
}
if(CM_FNUM == 1) {
CM_FEXTX[j] = (double)days_to_next_cpn / ((double)1/sfreq1);
}
}
else {
short days_from_settle, days_in_period;
if(bbit_calc_dr_d46__value()){
days_from_settle = difday_(&sDayType,asSettleDt,
&CM_FSHDT[j*3],&ercode);
days_in_period = difday_(&sDayType,&CM_FSHDT[(j-1)*3],
&CM_FSHDT[j*3],&ercode);
}
double cpn_rate = CM_PLIBOR;
if(bbit_calc_dr_d62__value()) {
if(j < CM_FLCNT && CM_FLT_RFIXRATES[j] != 0) cpn_rate = CM_FLT_RFIXRATES[j];
}
else {
if(j < CM_FLCNT ) cpn_rate = CM_FLT_RFIXRATES[j];
}
if(bbit_calc_dr_d37__value()&& j >= CM_FLCNT && sCalcType == 1570) {
cpn_rate = CM_PLIBOR + CM_QMRG;
if(bbit_calc_dr_d36__value()){
double projected_rate = pow((1 + CM_PLIBOR/100.0),
(days_in_period)) - 1;
projected_rate = projected_rate + CM_QMRG/100.0 * days_in_period;
cpn_rate = 100 * projected_rate * (1/days_in_period);
}
}
if(isactact) {
CM_FIFLX[j] = cpn_rate / sFreq;
CM_FEXTX[j] = CM_FEXTX[j-1] + 1;
if(bbit_calc_dr_d46__value() && discDaytype != 0) {
CM_FEXTX[j] = (double)days_from_settle / (double)(1/sfreq1);
}
}
else {
if(!bbit_calc_dr_d46__value()){
days_from_settle = difday_(&sDayType,asSettleDt,
&CM_FSHDT[j*3],&ercode);
days_in_period = difday_(&sDayType,&CM_FSHDT[(j-1)*3],
&CM_FSHDT[j*3],&ercode);
}
CM_FIFLX[j] = cpn_rate * days_in_period;
CM_FEXTX[j] = (double)days_from_settle / (double)(1/sfreq1);
}
}
if(bbit_calc_dr_d33__value() && CM_CTUP_GOOD_TO_GO != 0) {
CM_FIFLX[j] = rnd_trunc_numb (CM_FIFLX[j], 0, 0);
}
}
short accrued_days = difday_(&sDayType,CM_FLPRV,asSettleDt,&ercode);
if(!bbit_calc_dr_d47__value()) {
if(isactact) {
*pdAI = (CM_FLCPN / sFreq)* accrued_days / ((double)days_in_current_period);
}
else{
*pdAI = (CM_FLCPN / sFreq)* accrued_days / ((double)1/sFreq);
}
}
CM_EXDAY = days_to_next_cpn;
CM_BASIS = days_in_current_period;
datetrn_(CM_FLPRV,CM_PREV);
}
|
